What drives commodity returns? Market, sector or idiosyncratic factors?

This paper examines the relationship between 43 commodity returns using a dynamic factor model with time varying stochastic volatility. The dynamic factor model decomposes each commodity return into a common (market ), sector -specific and commodity-specific component. It enables the variance attrib...

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Bibliographic Details

Main Authors:	J. Ma, Andrew Vivian, Mark E. Wohar
Format:	Default Article
Published:	2019
Subjects:	Other commerce, management, tourism and services not elsewhere classified Other economics not elsewhere classified Dynamic factor model Commodity markets Common variation Financialization Economics Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/38159
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